Easy distributions for combinatorial optimization problems with probabilistic constraints

Authors:
Bernard Fortz;Michael Poss
Affiliations:
-;-
Venue:
Operations Research Letters
Year:
2010

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Abstract

We show how we can linearize individual probabilistic linear constraints with binary variables when all coefficients are independently distributed according to either N(@m"i,@l@m"i), for some @l0 and @m"i0, or @C(k"i,@q) for some @q0 and k"i0. The constraint can also be linearized when the coefficients are independent and identically distributed and either positive or strictly stable random variables.